5,836 reputation
21443
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 9 months
seen 3 hours ago

Strats in a commodity trading firm in Hong Kong.


Nov
1
comment Backtesting benchmark / control test design
To me, your description is unclear. Is your algorithm allow to update its position every day? intraday? only at the beginning of the test?
Nov
1
comment How to create a Stochastic Process through pre specified points?
He's looking to match OHLC here, not only a random path between 2 points...
Nov
1
reviewed Approve suggested edit on Why do low standard deviation stocks tend to have superior future returns?
Nov
1
revised Is the stock price process a martingale or a Markov process?
typo in second example
Nov
1
comment Is the stock price process a martingale or a Markov process?
@WilliamS.Wong oh yeah right, let me correct that.
Oct
29
comment Whare are the common Global Asset Allocation indices?
@chrisaycock yeah but then the way you compute your blending is so personal that you can hardly call it a benchmark... I'll just leave it open, maybe someday someone will come up with an index. I think there are some for the UK...
Oct
26
comment Whare are the common Global Asset Allocation indices?
@chrisaycock which index are you refering to? Actually the strategy is composed of long-only funds so I'm not sure an HF index would be suitable...
Oct
25
asked Whare are the common Global Asset Allocation indices?
Oct
21
reviewed Approve suggested edit on Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Oct
18
reviewed Approve suggested edit on What are the common trading systems for hedge fund automated trading?
Oct
10
comment Which objective function should I choose to minimize tracking error?
oh right you meant it from a statistical expectation perspective.
Oct
10
comment Which objective function should I choose to minimize tracking error?
Where do the expected returns come from? I think they have no place in this context.
Oct
10
asked Which objective function should I choose to minimize tracking error?
Oct
8
comment How to account for bid/ask spread when backtesting?
You could provide summary of what's in the blog....
Oct
5
answered Why the interest rate for put-call parity is not constant?
Oct
5
comment Howto Calculate An Error's Partial Derivative in ANN
There is another class specifically for NN if you look on the site.
Oct
1
revised Howto Calculate An Error's Partial Derivative in ANN
reformat
Oct
1
answered Howto Calculate An Error's Partial Derivative in ANN
Oct
1
reviewed Reject suggested edit on If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?
Sep
30
awarded  Custodian